VIX Futures As a Market Timing Indicator

11 Pages Posted: 4 Jun 2018

See all articles by Athanasios Fassas

Athanasios Fassas

University of Thessaly; Hellenic Open University

Nikolaos L. Hourvouliades

American College of Thessaloniki

Date Written: June 3, 2018


This study contributes to the age-old question of whether stock market returns are predictable, by studying the relationship of VIX futures term structure and future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility futures term structure has signaling effects regarding future equity prices movements, as several investors believe. Our findings generally support the hypothesis that the term structure of VIX futures can be employed as a contrarian market timing indicator for the equity market. The empirical analysis of this study has important practical implications for financial market practitioners, as it shows that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also as a stock market predictive tool.

Keywords: Derivatives, Asset Pricing, Financial Econometrics

JEL Classification: G10, G11

Suggested Citation

Fassas, Athanasios and Hourvouliades, Nikolaos L., VIX Futures As a Market Timing Indicator (June 3, 2018). Available at SSRN: or

Athanasios Fassas

University of Thessaly ( email )

Argonafton & Filellinon
38221 Volos, 41110
United States

Hellenic Open University ( email )

Parodos Aristotelous 18
Patra, 26335

Nikolaos L. Hourvouliades (Contact Author)

American College of Thessaloniki ( email )

Thessaloniki, 55510

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